Returns-chasing behavior, mutual funds, and beta's death

Journal of Financial and Quantitative Analysis

Volumn 37, Issue 4, 2002, Pages 559-594

  Karceski, Jason ^a  

^a UNIVERSITY OF FLORIDA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0036921684     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/3595012     Document Type: Review

References (59)

1. Barberis, N.; M. Huang; and T. Santos. "Prospect Theory and Asset Prices." Quarterly Journal of Economics, 116 (2001), 1-53.
2. Barberis, N.; A. Shleifer; and R.W. Vishny. "A Model of Investor Sentiment." Journal of Financial Economics, 49 (1998), 307-343.
3. Barclay, M.J.; N.D. Pearson; and M.S. Weisbach. "Open-End Mutual Funds and Capital Gains Taxes." Journal of Financial Economics, 49 (1998), 3-43.
4. Berk, J.B.; R.C. Green; and V. Naik. "Optimal Investment, Growth Options, and Security Returns." Journal of Finance, 54 (1999), 1553-1607.
5. Black, F.; M.C. Jensen; and M. Scholes. "The Capital Asset Pricing Model: Some Empirical Tests." In Studies in the Theory of Capital Markets, M. Jensen ed. New York, NY: Praeger (1972).
6. Bowen, Jr., J.J., and D.G. Booth. "Active versus Passive Investing." Journal of Investing, 7 (1993), 11-13.
7. Brennan, M.J. "Agency and Asset Pricing." Working Paper, Univ. of California at Los Angeles (1993).
8. Breusch, T., and A. Pagan. "A Simple Test for Heteroscedasticity and Random Coefficient Variation." Econometrica, 47 (1979), 1287-1294.
9. Brown, S.J., and W.N. Goetzmann. "Performance Persistence." Journal of Finance, 50 (1995), 679-698.
10. Brown, K.C.; W.V. Harlow; and L.T. Starks. "Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry." Journal of Finance, 51 (1996), 85-110.
11. Busse, J.A. "Another Look at Mutual Fund Tournaments." Journal of Financial and Quantitative Analysis, 36 (2001), 53-73.
12. Capon, N.; G.J. Fitzsimons; and R.A. Prince. "An individual Level Analysis of the Mutual Fund Investment Decision." Journal of Financial Services Research, 10 (1996), 59-82.
13. Carhart, M.M. "On Persistence in Mutual Fund Performance." Journal of Finance, 52 (1997), 57-82.
14. Chan, L.K.C.; H. Chen; and J. Lakonishok. "On Mutual Fund Investment Styles." Review of Financial Studies, 15 (2002), 1407-1437.
15. Chan, L.K.C.; J. Karceski; and J. Lakonishok. "On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model." Review of Financial Studies, 12 (1999), 937-974.
16. Chan, L.K.C., and J. Lakonishok. "Are the Reports of Beta's Death Premature?" Journal of Portfolio Management, 19 (1993), 51-62.
17. Chevalier, J., and G. Ellison. "Risk Taking by Mutual Funds as a Response to Incentives." Journal of Political Economy, 105 (1997), 1167-1200.
18. Chordia, T. "The Structure of Mutual Fund Charges." Journal of Financial Economics, 41 (1996), 3-39.
19. Clarke, R.G.; S. Krase; and M. Statman. "Tracking Errors, Regret, and Tactical Asset Allocation." Journal of Portfolio Management, 20 (1994), 16-24.
20. Daniel, K.; D. Hirshleifer; and A. Subrahmanyam. "Investor Psychology and Security Under- and Overreactions" Journal of Finance, 53 (1998), 1839-1885.
21. Daniel, K., and S. Titman. "Evidence on the Characteristics of Cross Sectional Variation in Stock Returns." Journal of Finance, 52 (1997), 1-33.
22. Edelen, R.M. "Investor Flows and the Assessed Performance of Open-End Mutual Funds." Journal of Financial Economics, 53 (1999), 439-466.
23. Elton, E.J.; M.J. Gruber; and C.R. Blake. "The Persistence of Risk-Adjusted Mutual Fund Performance." Journal of Business, 69 (1996), 133-157.
24. Falkenstein, E.G. "Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings." Journal of Finance, 51 (1996), 111-135.
25. Fama, E.F., and J.D. MacBeth. "Risk, Return, and Equilibrium: Empirical Tests." Journal of Political Economy, 91 (1973), 607-636.
26. Fama, E.F., and K.R. French. "The Cross-Section of Expected Stock Returns." Journal of Finance, 47 (1992), 427-465.
27. _. "Common Risk Factors in the Returns on Stocks and Bonds." Journal of Financial Economics, 33 (1993), 3-56.
28. _. "Size and Book-to-Market Factors in Earnings and Returns." Journal of Finance, 50 (1995), 131-155.
29. Goetzmann, W.; B. Greenwald; and G. Huberman. "Market Response to Mutual Fund Performance." Working Paper, Columbia Univ. (1992).
30. Goetzmann, W.N., and R.G. Ibbotson. "Do Winners Repeat? Patterns in Mutual Fund Performance." Journal of Portfolio Management, 20 (1994), 9-17.
31. Greene, W.H. Econometric Analysis, 2nd ed. New York, NY: Macmillan Publishing Co. (1993).
32. Grinblatt, M., and S. Titman. "The Persistence of Mutual Fund Performance." Journal of Finance, 47 (1992), 1977-1984.
33. Gruber, M.J. "Another Puzzle: The Growth in Actively Managed Mutual Funds." Journal of Finance, 51 (1996), 783-810.
34. Hamilton, J.D. Time Series Analysis. Princeton, NJ: Princeton Univ. Press (1994).
35. Harris, L., and E. Gurel. "Price and Volume Effects Associated with Changes in the S&P 500: New Evidence for the Existence of Price Pressures." Journal of Finance, 41 (1986), 815-830.
36. Hendricks, D.; J. Patel; and R. Zeckhauser. "Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance 1974-1988." Journal of Finance, 48 (1993), 93-130.
37. Hogg, R.V., and A.T. Craig. Introduction to Mathematical Statistics, 4th ed. New York, NY: Macmillan Publishing Co. (1978).
38. Ippolito, R.A. "Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry." Journal of Law and Economics, 35 (1992), 45-70.
39. Jagannathan, R., and Z. Wang. "The CAPM is Alive and Well." Staff report 165, Federal Reserve Bank of Minneapolis (1993).
40. _. "The Conditional CAPM and the Cross-Section of Expected Returns." Journal of Finance, 51 (1996), 3-53.
41. Koski, J.L., and J. Pontiff. "How are Derivatives Used? Evidence from the Mutual Fund Industry." Journal of Finance, 54 (1999), 791-816.
42. Kothari, S.P., and J. Shanken. "In Defense of Beta." Journal of Applied Corporate Finance, 8 (1995), 53-58.
43. Kothari, S.P.; J. Shanken; and R.G. Sloan. "Another Look at the Cross-Section of Expected Stock Returns." Journal of Finance, 95 (1995), 185-224.
44. Lakonishok, J.; A. Shleifer; and R.W. Vishny. "Contrarian Investment, Extrapolation, and Risk." Journal of Finance, 49 (1994), 1541-1578.
45. Newey, W.K., and K.D. West. "A Simple, Positive, Semi-Definite Heteroscedasticity and Autocorrelation Consistent Covariance Matrix." Econometrica, 55 (1987), 703-708.
46. Remolona, E.M.; P. Kleiman; and D. Gruenstein. "Market Returns and Mutual Fund Flows." FRB New York-Economic Policy Review, 3 (1997), 33-52.
47. Roll, R. "A Mean/Variance Analysis of Tracking Error." Journal of Portfolio Management, 18 (1992), 13-22.
48. Roll, R., and S.A. Ross. "On the Cross-Sectional Relation between Expected Returns and Betas." Journal of Finance, 49 (1994), 101-121.
49. Scruggs, J.T. "Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two-Factor Approach." Journal of Finance, 53 (1998), 575-603.
50. Shefrin, H., and M. Statman. "Making Sense of Beta, Size, and Book-to-Market," Journal of Portfolio Management, 21 (1995), 26-34.
51. Sias, R.W. "Volatility and the Institutional Investor." Financial Analysts Journal, 52 (1996), 13-20.
52. Sirri, E.R., and P. Tufano. "Costly Search and Mutual Fund Flows." Journal of Finance, 53 (1998), 1589-1622.
53. Smith, K.V. "Is Fund Growth Related to Fund Performance?" Journal of Portfolio Management, 5 (1978), 49-54.
54. Spitz, A.E. "Mutual Fund Performance and Cash Inflows." Applied Economics, 2 (1970), 141-145.
55. Thaler, R.H., and E.J. Johnson. "Gambling with the House Money and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice." Management Science, 36 (1990), 643-660.
56. Warther, V.A. "Aggregate Mutual Fund Flows and Security Returns." Journal of Financial Economics, 39 (1995), 209-235.
57. White, H. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity." Econometrica, 48 (1980), 817-838.
58. Zheng, L. "Who Moves the Market? A Study of Stock Prices and investment Cash Flows." Working Paper, Univ. of Michigan (1998).
59. _. "Is Money Smart? A Study of Mutual Fund Investors' Fund Selection Ability." Journal of Finance, 54 (1999), 901-933.